week 9 portfolio performance evaluation_color.12
DESCRIPTION
Week 9 Portfolio Performance Evaluation_color.12TRANSCRIPT
Risk Adjusted Performance
Treynor Measure:
rp = Average return on the portfolio
rf = Average risk free rate
= Beta of portfolio return
Normally used when the fund is a small part of the total investor portfolio.
Non-systematic risk is diversified away in a large portfolio, therefore this measure only uses systematic risk
P
FP rr
)(
P